HL US RISK MITIGATION

Asset Allocation

Asset allocation is not available

Benchmark: S&P 500 Index

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Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in HL US RISK MITIGATION, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.

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Benchmark

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Returns By Period

Position	1D	1M	6M	YTD	1Y	3Y*	5Y*	10Y*	ALL TIME*
Benchmark S&P 500 Index	0.70%	0.09%	7.94%	9.41%	18.15%	17.84%	11.25%	13.26%	8.09%
Portfolio HL US RISK MITIGATION	—	—	—	—	—	—	—	—	—
Portfolio components:

*Multi-year figures are annualized to reflect compound growth (CAGR)

Monthly Returns

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2024	0.22%	0.40%											0.62%
2023	-1.45%	1.70%	0.38%	0.40%	0.41%	-0.03%	0.02%	1.11%	1.50%	0.83%	0.52%	0.51%	6.02%
2022	-0.06%	0.42%	0.08%	4.52%	1.22%	3.42%	-0.50%	2.28%	3.98%	-4.86%	0.87%	0.87%	12.57%
2021	0.00%	0.00%	-1.71%	0.00%	0.00%	0.00%	0.00%	0.00%	1.69%	-0.66%	0.00%	-0.87%	-1.57%

Benchmark Metrics

HL US RISK MITIGATION has an annualized alpha of 5.32%, beta of -0.23, and R2 of 0.46 versus S&P 500 Index. Calculated based on daily prices since January 02, 2008.

This portfolio tended to rise when S&P 500 Index fell (downside capture of -30.99%), but participation in market rallies was also limited (-4.59%) - a profile typical of counter-cyclical assets.
Beta of -0.23 may look defensive, but with R2 of 0.46 this portfolio is largely uncorrelated with S&P 500 Index - low beta reflects independence, not downside protection. See the Volatility section for a true picture of this portfolio's risk.
R2 of 0.46 means the benchmark explains less than half of this portfolio's behavior - treat beta with caution or consider switching to a more representative benchmark.

Alpha: 5.32%

Beta: -0.23

R²: 0.46

Upside Capture: -4.59%

Downside Capture: -30.99%

See how alpha, beta & R² have trended over time →

Return for Risk

Sharpe Ratio

There isn't enough data available to calculate the Sharpe ratio for HL US RISK MITIGATION. This metric is based on the past 12 months of trading data. Please check back later for updated information.

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Dividends

Dividend yield

HL US RISK MITIGATION doesn't pay dividends

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.

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Worst Drawdowns

The table below displays the maximum drawdowns of the HL US RISK MITIGATION. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the HL US RISK MITIGATION was 11.54%, occurring on Nov 4, 2008. Recovery took 12 trading sessions.

Drawdown	Fall	Recovery	Underwater	Related event
-11.54%Nov 2008	22d	16d	1mo 8dOct 2008 - Nov 2008	Financial crisis2007–2009
-10.16%Oct 2009	7mo 16d	1y 9mo	2y 5moMar 2009 - Aug 2011	Financial crisis2007–2009
-9.36%Mar 2015	3y 7mo	3y 8mo	7y 4moAug 2011 - Dec 2018	—
-7.33%Feb 2022	1y 10mo	2mo 24d	2y 1moMar 2020 - May 2022	Bear market2022
-7.21%Jan 2009	1mo 23d	1mo 25d	3mo 18dNov 2008 - Mar 2009	Financial crisis2007–2009

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.

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Diversification

Diversification Metrics

Number of Effective Assets

The portfolio contains 0 assets, with an effective number of assets of 0.00, reflecting the diversification based on asset allocation. null

Diversification Ratio

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Not enough data to calculate this metric.

HL US RISK MITIGATION correlation to the S&P 500 Index

HL US RISK MITIGATION has a -0.24 correlation to S&P 500 Index over the trailing 12 months. This section compares each holding's correlation to the benchmark and to the portfolio.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	-0.24
Correlation (3Y) Balances recent behavior with more history.	-0.45
Correlation (5Y) Shows whether the relationship held over a longer period.	-0.38
Correlation (10Y) Provides a long-term view across more market conditions.	-0.30
Correlation (All Time) Calculated using the full available price history since Jan 2, 2008	-0.33